Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0757 |
| Annualized Std Dev | 0.2590 |
| Annualized Sharpe (Rf=0%) | 0.2925 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3879.0000 |
| NAs | 1.0000 |
| Minimum | -0.1338 |
| Quartile 1 | -0.0069 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0079 |
| Maximum | 0.1071 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0003 |
| Stdev | 0.0163 |
| Skewness | -0.3816 |
| Kurtosis | 8.3981 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0118 |
| Gain Deviation | 0.0117 |
| Loss Deviation | 0.0127 |
| Downside Deviation (MAR=210%) | 0.0162 |
| Downside Deviation (Rf=0%) | 0.0116 |
| Downside Deviation (0%) | 0.0116 |
| Maximum Drawdown | 0.6400 |
| Historical VaR (95%) | -0.0238 |
| Historical ES (95%) | -0.0388 |
| Modified VaR (95%) | -0.0254 |
| Modified ES (95%) | -0.0484 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-13 | 2009-03-09 | 2013-05-14 | -0.6400 | 1463 | 410 | 1053 |
| 2018-08-23 | 2020-03-18 | 2021-02-04 | -0.4894 | 617 | 394 | 223 |
| 2015-06-24 | 2016-02-11 | 2016-08-11 | -0.1855 | 286 | 161 | 125 |
| 2006-05-08 | 2006-07-21 | 2006-11-15 | -0.1466 | 135 | 53 | 82 |
| 2014-04-03 | 2014-10-10 | 2014-12-23 | -0.1273 | 184 | 133 | 51 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.5 | 1.7 | -1.3 | -0.1 |
| 2006 | 0.8 | 0.9 | 0.7 | -0.6 | 1.9 | 0.5 | -1.9 | 0.3 | -1.2 | -2 | -1.2 | -0.9 | -2.8 |
| 2007 | 0.5 | -0.9 | 0 | 0.2 | 0.7 | -0.8 | -0.1 | 0.7 | 1.1 | -3 | 0.7 | -1.8 | -2.8 |
| 2008 | 1.2 | -3.7 | -0.1 | 1.8 | 0 | -0.2 | 0 | -1 | -0.7 | 4.6 | -11.2 | 4 | -6 |
| 2009 | -3 | 0 | 1.2 | -0.6 | 4.7 | 2.2 | 0.3 | -2.1 | -3.2 | -2.7 | 1.5 | -0.7 | -2.8 |
| 2010 | 0.8 | 2.2 | -0.5 | -2.6 | -3.6 | -0.9 | -0.1 | 4 | 0.4 | -1 | 2.1 | -0.9 | -0.2 |
| 2011 | 2.6 | -2 | 0.5 | 0.2 | -3.9 | 1.3 | -0.6 | -2.7 | -1 | -5 | -0.6 | -0.6 | -11.5 |
| 2012 | 2 | 0.1 | -0.1 | -0.7 | -2.7 | 3.5 | -1 | 0.1 | 0.5 | 1.1 | -0.2 | 1.7 | 4.4 |
| 2013 | 1 | 0 | -1.4 | -2.7 | -0.4 | 2.1 | 0.8 | -1.7 | 0.8 | -0.9 | 0.3 | 0.4 | -1.7 |
| 2014 | -1 | 0.3 | 1.5 | -0.3 | -0.4 | 2.2 | -0.9 | 0.7 | -1.9 | 2.4 | -1.7 | -0.1 | 0.8 |
| 2015 | -1.9 | -0.4 | 0.1 | -0.6 | -0.1 | 0.8 | 0.9 | -1.9 | -0.1 | -1.5 | 0.6 | -1.8 | -5.7 |
| 2016 | -0.2 | 0.7 | 0 | -1.3 | 0.1 | 0.4 | 0 | 0.1 | 0.5 | -0.9 | 1 | -0.5 | -0.2 |
| 2017 | 0 | 2.1 | 0.4 | 0.4 | 1.8 | -0.3 | 0.8 | 0.4 | -0.1 | -0.6 | -0.9 | -0.5 | 3.6 |
| 2018 | 0.1 | 0 | 0.8 | 0 | 0.7 | -0.2 | 0.1 | 0.4 | -1.2 | 0.9 | 0.2 | 0.4 | 2.2 |
| 2019 | 0.2 | 0.3 | 1.2 | -0.1 | -1.8 | 0.1 | -1.6 | -0.5 | -1.9 | 1.6 | -0.2 | 0.1 | -2.6 |
| 2020 | -2.3 | -2 | -7.5 | -4.2 | 0.3 | -2.8 | -1.3 | 0.4 | 1.7 | -1.4 | 1.1 | 0.1 | -16.7 |
| 2021 | 2.3 | 4.2 | 1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 7.7 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2005-09-30 20.2 SPY 123. 0.0031 0.0132 0.0038 0.0294 0.0826 0.435 -0.146 GLD 46.7 -8.50e-3 0.0091
2 2005-10-03 20.3 SPY 123. -0.0036 0.0084 0.0009 0.0175 0.077 0.474 -0.139 GLD 46.4 -6.00e-3 -0.0032
3 2005-10-04 20.1 SPY 121. -0.0113 -0.0027 -0.0086 0.0146 0.0643 0.473 -0.153 GLD 46.4 6.00e-4 0.0043
4 2005-10-05 19.6 SPY 120. -0.0131 -0.0168 -0.0329 -0.0027 0.0437 0.481 -0.181 GLD 46.4 -1.90e-3 -0.0094
5 2005-10-06 19.4 SPY 119. -0.0036 -0.0282 -0.038 -0.0175 0.0507 0.506 -0.170 GLD 47.2 1.83e-2 0.0023
6 2005-10-07 19.7 SPY 120. 0.0034 -0.0279 -0.0315 -0.0191 0.0631 0.488 -0.168 GLD 47.4 3.20e-3 0.0141
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
